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EX-31.2 - EX-31.2 - CERES TACTICAL SYSTEMATIC L.P.y04771exv31w2.htm
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EX-31.1 - EX-31.1 - CERES TACTICAL SYSTEMATIC L.P.y04771exv31w1.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2011
OR (  ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                      to                     
Commission File Number 000-50718
TACTICAL DIVERSIFIED FUTURES FUND L.P.
 
(Exact name of registrant as specified in its charter)
     
New York   13-4224248
 
(State or other jurisdiction of   (I.R.S. Employer
incorporation or organization)   Identification No.)
c/o Ceres Managed Futures LLC
522 Fifth Avenue – 14th Floor
New York, New York 10036

 
(Address of principal executive offices) (Zip Code)
(212) 296-1999
 
(Registrant’s telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes X    No   
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes       No   
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
             
     Large accelerated filer   
       Accelerated filer           Non-accelerated filer X        Smaller reporting company   
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes       No X
As of April 30, 2011, 632,180.3112 Limited Partnership Redeemable Units were outstanding.

 


 

TACTICAL DIVERSIFIED FUTURES FUND L.P.
FORM 10-Q
INDEX
             
        Page  
        Number  
 
           
           
 
           
  Financial Statements:      
 
 
  Statements of Financial Condition
at March 31, 2011 (unaudited) and December 31, 2010
  3    
 
           
 
  Condensed Schedules of Investments
at March 31, 2011 (unaudited) and December 31, 2010
  4–5  
 
           
 
  Statements of Income and Expenses
and Changes in Partners’ Capital for the three
months ended March 31, 2011 and 2010
(unaudited)
  6  
 
           
 
           
 
  Notes to Financial Statements
(unaudited)
  7–19  
 
           
  Management’s Discussion and
Analysis of Financial Condition
and Results of Operations
  20–22  
 
           
  Quantitative and Qualitative
Disclosures about Market Risk
  23–27  
 
           
  Controls and Procedures   28  
 
           
      29–32  
Exhibits
           
31.1 Certification
31.2 Certification
32.1 Certification
32.2 Certification

2


 

PART I
Item 1. Financial Statements
Tactical Diversified Futures Fund L.P.
Statements of Financial Condition
                 
    (Unaudited)        
    March 31,     December 31,  
    2011     2010  
 
               
Assets:
               
 
               
Investment in Funds, at fair value
  $ 726,410,752     $ 734,276,743  
Equity in trading account:
               
Cash
    37,798,652       37,455,804  
Cash margin
    4,454,599       5,998,581  
Net unrealized appreciation on open futures contracts
    2,363,383       2,720,921  
 
           
 
    771,027,386       780,452,049  
Interest receivable
    1,841       2,913  
 
           
Total assets
  $ 771,029,227     $ 780,454,962  
 
           
 
               
Liabilities and Partners’ Capital:
               
 
               
Liabilities:
               
Accrued expenses:
               
Brokerage fees
  $ 3,533,885     $ 3,577,085  
Management fees
    1,226,584       1,249,495  
Incentive fees
    347,609       364,790  
Other
    313,551       158,419  
Redemptions payable
    15,615,919       11,937,684  
 
           
Total liabilities
    21,037,548       17,287,473  
 
           
Partners’ Capital:
               
General Partner, 7,513.5294 unit equivalents outstanding at March 31, 2011 and December 31, 2010
    8,768,815       8,755,366  
Limited Partners, 635,115.8509 and 647,408.8339 Redeemable Units outstanding at March 31, 2011 and December 31, 2010, respectively
    741,222,864       754,412,123  
 
           
Total partners’ capital
    749,991,679       763,167,489  
 
           
Total liabilities and partners’ capital
  $ 771,029,227     $ 780,454,962  
 
           
Net asset value per unit
  $ 1,167.07     $ 1,165.28  
 
           
See accompanying notes to financial statements.

3


 

Tactical Diversified Futures Fund, L.P.
Condensed Schedule of Investments
March 31, 2011
(Unaudited)
                         
    Number of             % of Partners  
    Contracts     Fair Value     Capital  
Futures Contracts Purchased
                       
Currencies
    124     $ 326,306       0.04 %
Energy
    149       347,700       0.05  
Grains
    23       (23,750 )     (0.00 )*
Interest Rates – U.S.
    121       (79,856 )     (0.01 )
Interest Rates Non – U.S.
    10       (60,611 )     (0.01 )
Metals
    136       1,225,740       0.16  
Softs
    220       1,316,255       0.18  
 
                   
Total futures contracts purchased
            3,051,784       0.41  
 
                   
Futures Contracts Sold
                       
Currencies
    29       (4,638 )     (0.00 )*
Grains
    92       (289,900 )     (0.04 )
Indices
    28       (393,468 )     (0.05 )
Interest Rates Non – U.S.
    141       35,187       0.00 *
Softs
    31       (35,582 )     (0.00 )*
 
                   
Total futures contracts sold
            (688,401 )     (0.09 )
 
                   
Investment in Funds
                       
CMF Drury Capital Master Fund L.P.
            126,010,289       16.80  
CMF Willowbridge Argo Master Fund L.P.
            31,393,472       4.19  
CMF Aspect Master Fund L.P.
            125,499,291       16.73  
CMF Capital Fund Management Master Fund L.P.
            126,177,743       16.82  
CMF Winton Master L.P.
            102,895,106       13.72  
CMF Graham Capital Master Fund L.P.
            100,734,517       13.43  
CMF SandRidge Master Fund L.P.
            39,114,735       5.22  
CMF Sasco Master Fund L.P.
            74,585,599       9.94  
 
                   
Total investment in Funds
            726,410,752       96.85  
 
                   
Net fair value
          $ 728,774,135       97.17 %
 
                   
 
*   Due to rounding.
See accompanying notes to financial statements.

4


 

Tactical Diversified Futures Fund L.P.
Condensed Schedule of Investments
December 31, 2010
 
                         
    Number of
          % of Partners
 
    Contracts     Fair Value     Capital  
 
Futures Contracts Purchased
                       
Currencies
    208     $ 386,550       0.05 %
Energy
    132       225,694       0.03  
Grains
    246       338,625       0.04  
Indices
    40       34,240       0.01  
Interest Rates Non – U.S. 
    23       2,689       0.00 *
Metals
    148       1,301,880       0.17  
Softs
    372       379,951       0.05  
                         
Total futures contracts purchased
            2,669,629       0.35  
                         
Futures Contracts Sold
                       
Currencies
    28       (25,275 )     (0.00 )*
Energy
    1       (1,250 )     (0.00 )*
Interest Rates – U.S. 
    197       198,088       0.03  
Interest Rates Non – U.S. 
    143       (120,271 )     (0.02 )
                         
Total futures contracts sold
            51,292       0.01  
                         
Investment in Funds
                       
CMF Drury Capital Master Fund L.P. 
            107,683,407       14.11  
CMF Willowbridge Argo Master Fund L.P. 
            45,858,815       6.01  
CMF Aspect Master Fund L.P. 
            108,551,664       14.22  
CMF Capital Fund Management Master Fund L.P. 
            124,459,170       16.31  
CMF Winton Master L.P. 
            123,917,915       16.24  
CMF Graham Capital Master Fund L.P. 
            105,484,588       13.82  
CMF SandRidge Master Fund L.P. 
            73,181,625       9.59  
CMF Sasco Master Fund L.P. 
            45,139,559       5.91  
                         
Total investment in Funds
            734,276,743       96.21  
                         
Net fair value
          $ 736,997,664       96.57 %
                         
 
 
* Due to rounding.
 
See accompanying notes to financial statements.

5


 

Tactical Diversified Futures Fund L.P.
Statements of Income and Expenses and Changes in Partners’ Capital
(Unaudited)
                 
    Three Months Ended  
    March 31,  
    2011     2010  
Investment Income:
               
Interest income
  $ 8,888     $ 4,142  
Interest income from investment in Funds
    141,100       90,484  
 
           
Total investment income
    149,988       94,626  
 
           
 
Expenses:
               
Brokerage fees including clearing fees
    11,499,754       11,510,886  
Management fees
    3,735,852       3,783,871  
Incentive fees
    347,609        
Other
    526,043       246,738  
 
           
Total expenses
    16,109,258       15,541,495  
 
           
Net investment income (loss)
    (15,959,270 )     (15,446,869 )
 
           
 
Trading Results:
               
Net gains (losses) on trading of commodity interests and investment in Funds:
               
Net realized gains (losses) on closed contracts
    2,984,477       (2,678,901 )
Net realized gains (losses) on investment in Funds
    22,634,584       (3,461,156 )
Change in net unrealized gains (losses) on open contracts
    (357,538 )     1,270,447  
Change in net unrealized gains (losses) on investment in Funds
    (8,060,004 )     5,268,920  
 
           
Total trading results
    17,201,519       399,310  
 
           
 
Net income (loss)
    1,242,249       (15,047,559 )
Subscriptions — Limited Partners
    19,941,239       35,779,000  
Redemptions — Limited Partners
    (34,359,298 )     (23,359,112 )
 
           
Net increase (decrease) in Partners’ Capital
    (13,175,810 )     (2,627,671 )
Partners’ Capital, beginning of period
    763,167,489       789,539,282  
 
           
Partners’ Capital, end of period
  $ 749,991,679     $ 786,911,611  
 
           
Net asset value per unit
(642,629.3803 and 661,382.0842 units outstanding in March 31, 2011 and 2010, respectively)
  $ 1,167.07     $ 1,189.80  
 
           
Net income (loss) per unit*
  $ 1.79     $ (22.91 )
 
           
Weighted average units outstanding
    657,992.0238       665,243.4737  
 
           
 
 
* Based on change in net asset value per unit.
 
See accompanying notes to financial statements.

6


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
1.   General:
Tactical Diversified Futures Fund L.P. (the “Partnership”) is a limited partnership organized under the partnership laws of the State of New York on December 3, 2002 to engage, directly or indirectly, in the speculative trading of a diversified portfolio of commodity interests including futures contracts, options, swaps and forward contracts. The sectors traded include currencies, energy, grains, indices, U.S. and non-U.S. interest rates, livestock, lumber, metals and softs. The commodity interests that are traded by the Partnership and the Funds (as defined in Note 5 “Investment in Funds”) are volatile and involve a high degree of market risk.
Between March 27, 2003 (commencement of the public offering period) and April 30, 2003, 36,616 redeemable units of limited partnership interest (“Redeemable Units”) were publicly offered at $1,000 per Redeemable Unit. The proceeds of the initial public offering were held in an escrow account until April 30, 2003, at which time they were turned over to the Partnership for trading. The Partnership was authorized to publicly offer 300,000 Redeemable Units during the initial public offering period. As of December 4, 2003, the Partnership was authorized to publicly offer an additional 700,000 Redeemable Units. As of October 7, 2004, the Partnership was authorized to publicly offer an additional 1,000,000 Redeemable Units. As of June 30, 2005, the Partnership was authorized to publicly offer the 2,000,000 Redeemable Units previously registered. The public offering of Redeemable Units terminated on November 30, 2008. The Partnership currently privately and continuously offers up to 200,000 Redeemable Units to qualified investors. There is no maximum number of Redeemable Units that may be sold by the Partnership.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner (the “General Partner”) and commodity pool operator of the Partnership. The General Partner is wholly owned by Morgan Stanley Smith Barney Holdings LLC (“MSSB Holdings”). Morgan Stanley, indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings. Citigroup Global Markets Inc. (“CGM”), the commodity broker and a selling agent for the Partnership, owns a minority equity interest in MSSB Holdings. Citigroup Inc. (“Citigroup”), indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner of which is Citigroup.
As of March 31, 2011, all trading decisions are made for the Partnership by Drury Capital, Inc., (“Drury”), Graham Capital Management, L.P., (“Graham”), John W. Henry & Company, Inc., (“JWH”), Willowbridge Associates Inc. (“Willowbridge”), Aspect Capital Limited (“Aspect”), Capital Fund Management S.A. (“CFM”), Winton Capital Management Limited (“Winton”), SandRidge Capital L.P. (“SandRidge”) and Sasco Energy Partners LLC (“Sasco”) (each an “Advisor” and collectively, the “Advisors”), each of which is a registered commodity trading advisor. AAA Capital Management Advisors, Ltd. (“AAA”) was terminated as of January 31, 2010. Each Advisor is allocated a portion of the Partnership’s assets to manage. The Partnership invests the portion of its assets allocated to JWH directly, where as the Partnership invests the portion of its assets allocated to each of the other Advisors indirectly through investments in master funds.
The General Partner and each limited partner share in the profits and losses of the Partnership in proportion to the amount of Partnership interest owned by each except that no limited partner shall be liable for obligations of the Partnership in excess of its capital contribution and profits, if any, net of distributions.
The accompanying financial statements are unaudited but, in the opinion of management, include all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the Partnership’s financial condition at March 31, 2011 and December 31, 2010, and the results of its operations and changes in partners’ capital for the three months ended March 31, 2011 and 2010. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. You should read these financial statements together with the financial statements and notes included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission (the “SEC”) for the year ended December 31, 2010.
The preparation of financial statements and accompanying notes in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.

7


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
Due to the nature of commodity trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.
2.   Financial Highlights:
Changes in the net asset value per unit for the three months ended March 31, 2011 and 2010 were as follows:
                 
    Three Months Ended  
    March 31,  
    2011     2010  
Net realized and unrealized gains (losses) *
  $ 8.55     $ (16.99 )
Interest income
    0.23       0.14  
Expenses **
    (6.99 )     (6.06 )
 
           
Increase (decrease) for the period
    1.79       (22.91 )
Net asset value per unit, beginning of period
    1,165.28       1,212.71  
 
           
Net asset value per unit, end of period
  $ 1,167.07     $ 1,189.80  
 
           
 
*   Includes brokerage fees.
 
**   Excludes brokerage fees.
                 
    Three Months Ended
    March 31,
    2011   2010
Ratios to average net assets:***
               
Net investment income (loss) before incentive fees****
    (8.3 )%     (8.1 )%
 
               
Operating expenses
    8.4 %     8.1 %
Incentive fees
    0.0 %*****     %
 
               
Total expenses
    8.4 %     8.1 %
 
               
 
 
Total return:
               
Total return before incentive fees
    0.2 %     (1.9 )%
Incentive fees
    (0.0 )%*****     %
 
               
Total return after incentive fees
    0.2 %     (1.9 )%
 
               
 
***   Annualized (other than incentive fees).
 
****   Interest income less total expenses.
 
*****   Due to rounding.
The above ratios may vary for individual investors based on the timing of capital transactions during the period. Additionally, these ratios are calculated for the limited partner class using the limited partners’ share of income, expenses and average net assets.

8


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
3.   Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity interests, including derivative financial instruments and derivative commodity instruments. The results of the Partnership’s trading activities are shown in the Statements of Income and Expenses and Changes in Partners’ Capital.
The customer agreements between the Partnership and CGM and the Funds and CGM give the Partnership and the Funds the legal right to net unrealized gains and losses on open futures contracts and open forward contracts. The Partnership and the Funds net, for financial reporting purposes, the unrealized gains and losses on open futures and open forward contracts on the Statements of Financial Condition.
All of the commodity interests owned by the Partnership are held for trading purposes. All of the commodity interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three months ended March 31, 2011 and 2010 were 1,298 and 1,291, respectively.
Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions.
The following tables indicate the gross fair values of derivative instruments of futures contracts traded directly by the Partnership as separate assets and liabilities as of March 31, 2011 and December 31, 2010.
         
    March 31, 2011  
Assets
       
Currencies
  $ 334,650  
Energy
    357,790  
Interest Rates Non — U.S.
    36,357  
Metals
    1,225,740  
Softs
    1,316,255  
 
     
Total unrealized appreciation on open futures contracts
  $ 3,270,792  
 
     
 
       
Liabilities
       
Currencies
  $ (12,982 )
Energy
    (10,090 )
Grains
    (313,650 )
Indices
    (393,468 )
Interest Rates — U.S.
    (79,856 )
Interest Rates Non — U.S.
    (61,781 )
Softs
    (35,582 )
 
     
Total unrealized depreciation on open futures contracts
  $ (907,409 )
 
     
 
       
Net unrealized appreciation on open futures contracts
  $ 2,363,383 *
 
     
 
*   This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.

9


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
         
    December 31, 2010  
 
Assets
       
Futures Contracts
       
Currencies
  $ 386,550  
Energy
    225,694  
Grains
    338,625  
Indices
    34,240  
Interest Rates — U.S. 
    211,500  
Interest Rates Non — U.S. 
    94,003  
Metals
    1,301,880  
Softs
    597,238  
         
Total unrealized appreciation on open futures contracts
  $ 3,189,730  
         
Liabilities
       
Futures Contracts
       
Currencies
  $ (25,275 )
Energy
    (1,250 )
Interest Rates — U.S. 
    (13,412 )
Interest Rates Non — U.S. 
    (211,585 )
Softs
    (217,287 )
         
Total unrealized depreciation on open futures contracts
  $ (468,809 )
         
Net unrealized appreciation on open futures contracts
  $ 2,720,921 **
         
 
**   This amount is in “Net unrealized appreciation on open futures contracts” on the Statements of Financial Condition.
The following table indicates the trading gains and losses, by market sector, on derivative instruments traded directly by the Partnership for the three months ended March 31, 2011 and 2010.
                 
    Three Months Ended     Three Months Ended  
    March 31, 2011     March 31, 2010  
Sector   Total trading results     Total trading results  
Currencies
  $ (758,310 )   $ 452,840  
Energy
    2,584,280       (545,048 )
Grains
    (843,275 )     17,275  
Indices
    (581,507 )     (73,736 )
Interest Rates — U.S.
    (120,251 )     (189,962 )
Interest Rates Non — U.S.
    (99,934 )     71,165  
Metals
    602,885       (1,664,160 )
Softs
    1,843,051       523,172  
 
           
Total
  $ 2,626,939 ***   $ (1,408,454) ***
 
           
 
***   This amount is in “Total trading results” on the Statements of Income and Expenses and Changes in Partners’ Capital.

10


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
4.   Fair Value Measurements:
Partnership’s and the Funds’ Investments. All commodity interests (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.
Partnership’s and the Funds’ Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Partnership’s and the Funds’ Level 1 assets and liabilities are actively traded.
GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’ Level 2 assets and liabilities.
The Partnership and the Funds will separately present purchases, sales, issuances, and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended March 31, 2011 and December 31, 2010, the Partnership and the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).
                                 
            Quoted Prices in              
            Active Markets
for Identical
    Significant Other
Observable Inputs
    Significant
Unobservable
 
    3/31/11     Assets (Level 1)     (Level 2)     Inputs (Level 3)  
Assets
                               
Futures
  $ 3,270,792     $ 3,270,792     $     $  
Investment in Funds
    726,410,752             726,410,752        
 
                       
Total assets
    729,681,544       3,270,792       726,410,752        
 
                       
 
                               
Liabilities
                               
Futures
  $ 907,409     $ 907,409     $     $  
 
                       
Total liabilites
    907,409       907,409              
 
                       
Net fair value
  $ 728,774,135     $ 2,363,383     $ 726,410,752     $  
 
                       
                                 
            Quoted Prices in              
            Active Markets
for Identical
    Significant Other
Observable Inputs
    Significant
Unobservable
 
    12/31/2010*     Assets (Level 1)     (Level 2)     Inputs (Level 3)  
Assets
                               
Futures
  $ 3,189,730     $ 3,189,730     $     $  
Investment in Funds
    734,276,743             734,276,743        
 
                       
Total assets
    737,466,473       3,189,730       734,276,743        
 
                       
 
                               
Liabilities
                               
Futures
  $ 468,809     $ 468,809     $     $  
 
                       
Total liabilites
    468,809       468,809              
 
                       
Net fair value
  $ 736,997,664     $ 2,720,921     $ 734,276,743     $  
 
                       
 
*   The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation based on new fair value guidance.

11


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
5.   Investment in Funds:
The assets allocated to JWH for trading are invested directly pursuant to JWH’s Global Analytics Program.
On December 1, 2004, the assets allocated to Winton for trading were invested in the CMF Winton Master L.P. (“Winton Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 52,981.2908 units of Winton Master with cash equal to $57,471,493. Winton Master was formed in order to permit accounts managed now or in the future by Winton using the Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Winton Master. Individual and pooled accounts currently managed by Winton, including the Partnership, are permitted to be limited partners of Winton Master. The General Partner and Winton believe that trading through this structure should promote efficiency and economy in the trading process.
On March 1, 2005, the assets allocated to Aspect for trading were invested in the CMF Aspect Master Fund L.P. (“Aspect Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 131,340.8450 units of Aspect Master with cash equal to $122,786,448 and a contribution of open commodity futures and forward contracts with a fair value of $8,554,397. Aspect Master was formed in order to permit accounts managed now or in the future by Aspect using the Diversified Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Aspect Master. Individual and pooled accounts currently managed by Aspect, including the Partnership, are permitted to be limited partners of Aspect Master. The General Partner and Aspect believe that trading through this structure should promote efficiency and economy in the trading process.
On July 1, 2005, the assets allocated to Willowbridge for trading were invested in the CMF Willowbridge Argo Master Fund L.P. (“Willowbridge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 95,795.8082 units of Willowbridge Master with cash equal to $85,442,868 and a contribution of open commodity futures and forward contracts with a fair value of $10,352,940. Willowbridge Master was formed in order to permit accounts managed now or in the future by Willowbridge using the Argo Trading System, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Willowbridge Master. Individual and pooled accounts currently managed by Willowbridge, including the Partnership, are permitted to be limited partners of Willowbridge Master. The General Partner and Willowbridge believe that trading through this structure should promote efficiency and economy in the trading process.
On August 1, 2005, the assets allocated to Drury for trading were invested in the CMF Drury Capital Master Fund L.P. (“Drury Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 120,720.7387 units of Drury Master with cash equal to $117,943,206 and a contribution of open commodity futures and forward contracts with a fair value of $2,777,533. Drury Master was formed in order to permit accounts managed now or in the future by Drury using the Diversified Trend-Following Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Drury Master. Individual and pooled accounts currently managed by Drury, including the Partnership, are permitted to be limited partners of Drury Master. The General Partner and Drury believe that trading through this structure should promote efficiency and economy in the trading process.
On August 1, 2005, the assets allocated to CFM for trading were invested in the CMF Capital Fund Management Master Fund L.P. (“CFM Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 159,434.0631 units of CFM Master with cash equal to $157,804,020 and a contribution of open commodity futures and forward contracts with a fair value of $1,630,043. CFM Master was formed in order to permit accounts managed now or in the future by CFM using the Discus Program, a proprietary, systematic trading system, to invest together in one trading vehicle. The General Partner is also the general partner of CFM Master. Individual and pooled accounts currently managed by CFM, including the Partnership, are permitted to be limited partners of CFM Master. The General Partner and CFM believe that trading through this structure should promote efficiency and economy in the trading process.

12


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
On October 1, 2005, the assets allocated to AAA for trading were invested in the AAA Master Fund LLC (“AAA Master”) a limited liability company organized under the New York Limited Liability Company Law. The Partnership purchased 13,956.1190 units of AAA Master with cash equal to $50,000,000. AAA Master was formed in order to permit accounts managed now or in the future by AAA using the Energy Program — Futures and Swaps, a proprietary, discretionary trading system, to invest in one trading vehicle. The Partnership fully redeemed its investment in AAA Master on January 31, 2010 for cash equal to $40,267,084.
On June 1, 2006, the assets allocated to Graham for trading were invested in the CMF Graham Capital Master Fund L.P. (“Graham Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 101,486.0491 units of Graham Master with cash equal to $103,008,482. Graham Master was formed in order to permit accounts managed now or in the future by Graham using the K4D-15V program, a proprietary, systematic trading program, to invest together in one trading vehicle. The General Partner is also the general partner of Graham Master. Individual and pooled accounts currently managed by Graham, including the Partnership, are permitted to be limited partners of Graham Master. The General Partner and Graham believe that trading through this structure should promote efficiency and economy in the trading process.
On March 1, 2009, the assets allocated to SandRidge for trading were in invested in the CMF SandRidge Master Fund L.P. (“SandRidge Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 14,408.1177 units of SandRidge Master with cash equal to $27,000,000. SandRidge Master was formed in order to permit commodity pools managed now or in the future by SandRidge using the Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of SandRidge Master. Individual and pooled accounts currently managed by SandRidge, including the Partnership, are permitted to be limited partners of SandRidge Master. The General Partner and SandRidge believe that trading through this structure should promote efficiency and economy in the trading process.
On October 1, 2010, the assets allocated to Sasco for trading were invested in the CMF Sasco Master Fund L.P. (“Sasco Master”), a limited partnership organized under the partnership laws of the State of New York. The Partnership purchased 19,612.3882 units of Sasco Master with cash equal to $25,535,000. Sasco Master was formed in order to permit commodity pools managed now or in the future by Sasco using the Energy Program, a proprietary, discretionary trading system, to invest together in one trading vehicle. The General Partner is also the general partner of Sasco Master. Individual and pooled accounts currently managed by Sasco, including the Partnership, are permitted to be limited partners of Sasco Master. The General Partner and Sasco believe that trading through this structure should promote efficiency and economy in the trading process.
The General Partner is not aware of any material changes to the trading programs discussed above during the fiscal quarter ended March 31, 2011.
Winton Master’s, Aspect Master’s, Drury Master’s, Willowbridge Master’s, CFM Master’s, Graham Master’s, SandRidge Master’s and Sasco Master’s (collectively, the “Funds”) and the Partnership’s trading of futures and exchange cleared swaps, forwards and options contracts, if applicable, on commodities is done primarily on U.S. commodity exchanges and foreign commodity exchanges. The Funds and the Partnership engage in such trading through commodity brokerage accounts maintained with CGM.
A limited partner may withdraw all or part of their capital contribution and undistributed profits, if any, from the Funds in multiples of the net asset value per unit as of the end of any day (the “Redemption Date”) after a request for redemption has been made to the General Partner at least 3 days in advance of the Redemption Date. The units are classified as a liability when the limited partner elects to redeem and informs the Funds.
Management and incentive fees are charged at the Partnership level. All exchange, clearing, user, give-up, floor brokerage and National Futures Association fees (collectively the “clearing fees”) are borne by the Partnership directly and through its investment in the Funds. All other fees including CGM’s direct brokerage fees are charged at the Partnership level.
At March 31, 2011, the Partnership owned approximately 89.0% of Drury Master, 18.6% of Willowbridge Master, 73.0% of Aspect Master, 77.2% of CFM Master, 11.0% of Winton Master, 63.7% of Graham Master, 10.3% of SandRidge Master and 73.0% of Sasco Master. At December 31, 2010, the Partnership owned approximately 87.5% of Drury Master, 21.2% of Willowbridge Master, 68.7% of Aspect Master, 76.3% of CFM Master, 14.0% of Winton Master, 62.5% of Graham Master, 13.8% of SandRidge Master and 55.3% of Sasco Master. It is the Partnership’s intention to continue to invest in the Funds. The performance of the Partnership is directly affected by the performance of the Funds. Expenses to investors as a result of investment in the Funds are approximately the same and the redemption rights are not affected.

13


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
Summarized information reflecting the total assets, liabilities and capital for the Funds is shown in the following tables.
                         
    March 31, 2011  
    Total Assets     Total Liabilities     Total Capital  
Drury Master
  $ 141,671,220     $ 54,890     $ 141,616,330  
Willowbridge Master
    168,695,333       80,498       168,614,835  
Aspect Master
    171,917,989       60,063       171,857,926  
CFM Master
    163,901,892       538,601       163,363,291  
Winton Master
    938,976,048       889,625       938,086,423  
Graham Master
    158,542,504       335,674       158,206,830  
SandRidge Master
    417,397,881       39,202,100       378,195,781  
Sasco Master
    109,008,174       6,899,009       102,109,165  
 
                 
Total
  $ 2,270,111,041     $ 48,060,460     $ 2,222,050,581  
 
                 
                         
    December 31, 2010  
    Total Assets     Total Liabilities     Total Capital  
Drury Master
  $ 123,117,898     $ 43,219     $ 123,074,679  
Willowbridge Master
    216,360,362       61,729       216,298,633  
Aspect Master
    157,910,582       46,523       157,864,059  
CFM Master
    163,136,901       63,667       163,073,234  
Winton Master
    883,842,483       122,612       883,719,871  
Graham Master
    168,973,503       48,832       168,924,671  
SandRidge Master
    581,631,311       52,896,054       528,735,257  
Sasco Master
    81,882,294       198,664       81,683,630  
 
                 
Total
  $ 2,376,855,334     $ 53,481,300     $ 2,323,374,034  
 
                 
Summarized information reflecting the net investment income (loss), total trading results and net income (loss) for the Funds is shown in the following tables.
                         
    For the three months ended March 31, 2011  
    Net Investment     Total Trading        
    Income (Loss)     Results     Net Income (Loss)  
Drury Master
  $ (48,989 )   $ 3,976,188     $ 3,927,199  
Willowbridge Master
    (25,559 )     6,874,935       6,849,376  
Aspect Master
    (28,839 )     1,725,970       1,697,131  
CFM Master
    (391,973 )     8,294,467       7,902,494  
Winton Master
    46,285       22,234,532       22,280,817  
Graham Master
    (146,256 )     (1,070,720 )     (1,216,976 )
SandRidge Master
    (250,105 )     15,043,073       14,792,968  
Sasco Master
    (369,953 )     (2,250,744 )     (2,620,697 )
 
                 
Total
  $ (1,215,389 )   $ 54,827,701     $ 53,612,312  
 
                 
                         
    For the three months ended March 31, 2010  
    Net Investment     Total Trading        
    Income (Loss)     Results     Net Income (Loss)  
Drury Master
  $ (39,551 )   $ (265,746 )   $ (305,297 )
Willowbridge Master
    (67,599 )     (20,526,632 )     (20,594,231 )
Aspect Master
    (47,890 )     6,886,287       6,838,397  
CFM Master
    (602,334 )     3,154,756       2,552,422  
Winton Master
    (96,434 )     32,303,622       32,207,188  
AAA Master
    (1,020,434 )     (32,837,037 )     (33,857,471 )
Graham Master
    (99,316 )     (3,943,186 )     (4,042,502 )
SandRidge Master
    (261,244 )     (15,233,208 )     (15,494,452 )
 
                 
Total
  $ (2,234,802 )   $ (30,461,144 )   $ (32,695,946 )
 
                 

14


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
Summarized information reflecting the Partnership’s investment in, and the operations of, the Funds is shown in the following tables.
                                                         
    March 31, 2011     For the three months ended March 31, 2011          
    % of                     Expenses     Net          
    Partnership’s     Fair     Income                     Income     Investment   Redemptions
Funds   Net Assets     Value     (Loss)     Brokerage Fees     Other     (Loss)     Objective   Permitted
Drury Master
    16.80 %   $ 126,010,289     $ 3,508,802     $ 48,922     $ 19,154     $ 3,440,726     Commodity Portfolio   Monthly
Willowbridge Master
    4.19 %     31,393,472       1,213,936       7,453       6,111       1,200,372     Commodity Portfolio   Monthly
Aspect Master
    16.73 %     125,499,291       1,280,542       26,520       16,544       1,237,478     Commodity Portfolio   Monthly
CFM Master
    16.82 %     126,177,743       6,390,066       298,350       27,591       6,064,125     Commodity Portfolio   Monthly
Winton Master
    13.72 %     102,895,106       2,567,330       14,656       3,676       2,548,998     Commodity Portfolio   Monthly
Graham Master
    13.43 %     100,734,517       (670,023 )     98,289       14,289       (782,601 )   Commodity Portfolio   Monthly
Sandridge Master
    5.22 %     39,114,735       2,152,330       31,737       10,774       2,109,819     Energy Portfolio   Monthly
Sasco Master
    9.94 %     74,585,599       (1,727,303 )     234,412     $ 33,687       (1,995,402 )   Energy Portfolio   Monthly
 
                                             
Total
          $ 726,410,752     $ 14,715,680     $ 760,339     $ 131,826     $ 13,823,515          
 
                                             
                                                         
    December 31, 2010     For the three months ended March 31, 2010          
    % of                     Expenses     Net          
    Partnership’s     Fair     Income                     Income     Investment   Redemptions
Funds   Net Assets     Value     (Loss)     Brokerage Fees     Other     (Loss)     Objective   Permitted
Drury Master
    14.11 %   $ 107,683,407     $ (207,597 )   $ 33,727     $ 13,672     $ (254,996 )   Commodity Portfolio   Monthly
Willowbridge Master
    6.01 %     45,858,815       (5,993,852 )     23,144       5,507       (6,022,503 )   Commodity Portfolio   Monthly
Aspect Master
    14.22 %     108,551,664       4,228,773       31,519       9,773       4,187,481     Commodity Portfolio   Monthly
CFM Master
    16.31 %     124,459,170       2,488,564       466,122       14,131       2,008,311     Commodity Portfolio   Monthly
Winton Master
    16.24 %     123,917,915       5,875,152       30,804       3,121       5,841,227     Commodity Portfolio   Monthly
AAA Master
    0.00 %           (134,982 )     10,603       2,019       (147,604 )   Energy Portfolio   Monthly
Graham Master
    13.82 %     105,484,588       (1,604,650 )     56,696       9,217       (1,670,563 )   Commodity Portfolio   Monthly
Sandridge Master
    9.59 %     73,181,625       (2,753,160 )     46,860       12,507       (2,812,527 )   Energy Portfolio   Monthly
Sasco Master
    5.91 %     45,139,559                             Energy Portfolio   Monthly
 
                                             
Total
          $ 734,276,743     $ 1,898,248     $ 699,475     $ 69,947     $ 1,128,826          
 
                                             

15


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
6.   Financial Instrument Risks:
In the normal course of business, the Partnership and the Funds are parties to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. These financial instruments may include forwards, futures, options and swaps, whose values are based upon an underlying asset, index or reference rate, and generally represent future commitments to exchange currencies or cash balances, to purchase or sell other financial instruments on specific terms at specified future dates, or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or over-the-counter (“OTC”). Exchange-traded instruments are standardized and include futures and certain forwards and option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments, including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.
The risk to the limited partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership’s assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under applicable law.
Market risk is the potential for changes in the value of the financial instruments traded by the Partnership/Funds due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. The Partnership’s/Funds’ risk of loss in the event of a counterparty default is typically limited to the amounts recognized in the Statements of Financial Condition and is not represented by the contract or notional amounts of the instruments. The Partnership’s/Funds’ risk of loss is reduced through the use of legally enforceable master netting agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and losses and other assets and liabilities with such counterparties upon the occurrence of certain events. The Partnership/Funds have credit risk and concentration risk as the sole counterparty or broker with respect to the Partnership’s/Funds’ assets is CGM or a CGM affiliate. Credit risk with respect to exchange-traded instruments is reduced to the extent that through CGM, the Partnership’s/Funds’ counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Funds pay or receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Funds to potentially unlimited liability; for purchased options the risk of loss is limited to the premiums paid. Certain written put options permit cash settlement and do not require the option holder to own the reference asset. The Funds do not consider these contracts to be guarantees.
The General Partner monitors and attempts to control the Partnership’s/Funds’ risk exposure on a daily basis through financial, credit and risk management monitoring systems, and accordingly, believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Partnership/Funds may be subject. These monitoring systems generally allow the General Partner to statistically analyze actual trading results with risk-adjusted performance indicators and correlation statistics. In addition, online monitoring systems provide account analysis of futures, forwards and options positions by sector, margin requirements, gain and loss transactions and collateral positions.
The majority of these instruments mature within one year of the inception date. However, due to the nature of the Partnership’s/Funds’ businesses, these instruments may not be held to maturity.

16


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
7. Critical Accounting Policies:
Use of Estimates. The preparation of financial statements and accompanying notes in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, income and expenses, and related disclosures of contingent assets and liabilities in the financial statements and accompanying notes. As a result, actual results could differ from these estimates.
Partnership’s and the Funds’ Investments. All commodity interests held by the Partnership and the Funds (including derivative financial instruments and derivative commodity instruments) are held for trading purposes. The commodity interests are recorded on trade date and open contracts are recorded at fair value (as described below) at the measurement date. Investments in commodity interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates prevailing at the measurement date. Gains or losses are realized when contracts are liquidated. Unrealized gains or losses on open contracts are included as a component of equity in trading account on the Statements of Financial Condition. Net realized gains or losses and any change in net unrealized gains or losses from the preceding period are reported in the Statements of Income and Expenses and Changes in Partners’ Capital.
Partnership’s and the Funds’ Fair Value Measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. Management has concluded that based on available information in the marketplace, the Partnership’s and the Funds’ Level 1 assets and liabilities are actively traded.
GAAP also requires the need to use judgment in determining if a formerly active market has become inactive and in determining fair values when the market has become inactive. Management has concluded that based on available information in the marketplace, there has not been a significant decrease in the volume and level of activity in the Partnership’s and the Funds’ Level 2 assets and liabilities.
The Partnership and the Funds will separately present purchases, sales, issuances, and settlements in its reconciliation of Level 3 fair value measurements (i.e., to present such items on a gross basis rather than on a net basis), and make disclosures regarding the level of disaggregation and the inputs and valuation techniques used to measure fair value for measurements that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards and options contracts to be based on unadjusted quoted prices in active markets for identical assets (Level 1). The values of non exchange-traded forwards, swaps and certain options contracts for which market quotations are not readily available are priced by broker-dealers who derive fair values for those assets from observable inputs (Level 2). Investments in funds (other commodity pools) where there are no other rights or obligations inherent within the ownership interest held by the Partnership are priced based on the end of the day net asset value (Level 2). The value of the Partnership’s investments in the Funds reflects its proportional interest in the Funds. As of and for the periods ended March 31, 2011 and December 31, 2010, the Partnership and the Funds did not hold any derivative instruments that are priced at fair value using unobservable inputs through the application of management’s assumptions and internal valuation pricing models (Level 3).
Futures Contracts. The Partnership and the Funds trade futures contracts and exchange-cleared swaps. Exchange-cleared swaps are swaps that are traded as futures. A futures contract is a firm commitment to buy or sell a specified quantity of investments, currency or a standardized amount of a deliverable grade commodity, at a specified price on a specified future date, unless the contract is closed before the delivery date or if the delivery quantity is something where physical delivery cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments (“variation margin”) may be made or received by the Partnership and the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the Funds. When the contract is closed, the Partnership and the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in futures contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the futures broker, directly with the exchange on which the contracts are traded. Net realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

17


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
     Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the Funds agree to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the Funds’ net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Financial Condition. Realized gains (losses) and changes in unrealized gains (losses) on foreign currency contracts are recognized in the period in which the contract is closed or the changes occur, respectively, and are included in the Statements of Income and Expenses and Changes in Partners’ Capital.
     The Funds do not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net gain (loss) on investments in the Statements of Income and Expenses and Changes in Partners’ Capital.
     London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange (“LME”) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead, nickel, tin or zinc. LME contracts traded by the Funds are cash settled based on prompt dates published by the LME. Payments (“variation margin”) may be made or received by the Funds each business day, depending on the daily fluctuations in the value of the underlying contracts, and are recorded as unrealized gains or losses by the Funds. A contract is considered offset when all long positions have been matched with a like number of short positions settling on the same prompt date. When the contract is closed at the prompt date, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Transactions in LME contracts require participants to make both initial margin deposits of cash or other assets and variation margin deposits, through the broker, directly with the LME. Net realized gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.

18


 

Tactical Diversified Futures Fund L.P.
Notes to Financial Statements
March 31, 2011
(Unaudited)
     Options. The Funds may purchase and write (sell) both exchange listed and OTC options on commodities or financial instruments. An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period. The option premium is the total price paid or received for the option contract. When the Funds write an option, the premium received is recorded as a liability in the Statements of Financial Condition and marked to market daily. When the Funds purchase an option, the premium paid is recorded as an asset in the Statements of Financial Condition and marked to market daily. Net realized gains (losses) and changes in net unrealized gains (losses) on options contracts are included in the Statements of Income and Expenses and Changes in Partners’ Capital.
     Income Taxes. Income taxes have not been provided as each partner is individually liable for the taxes, if any, on its share of the Partnership’s income and expenses.
     GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements and requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The General Partner concluded that no provision for income tax is required in the Partnership’s financial statements.
     The Partnership files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. Generally, the 2007 through 2010 tax years remain subject to examination by U.S. federal and most state tax authorities. Management does not believe that there are any uncertain tax positions that require recognition of a tax liability.
     Subsequent Events. Management of the Partnership evaluates events that occur after the balance sheet date but before financial statements are filed. Management has assessed the subsequent events through the date of filing and determined that there were no subsequent events requiring adjustment of or disclosure in the financial statements.
Net Income (Loss) per Unit. Net income (loss) per unit is calculated in accordance with investment company guidance. See Note 2, “Financial Highlights”.

19


 

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. The Partnership’s assets are its (i) investment in Funds, (ii) equity in its trading account, consisting of cash and cash equivalents, and net unrealized appreciation on open futures contracts, and (iii) interest receivable. Because of the low margin deposits normally required in commodity futures trading, relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such illiquidity occurred during the first quarter of 2011.
The Partnership’s capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading and by expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.
For the three months ended March 31, 2011, Partnership capital decreased 1.7% from $763,167,489 to $749,991,679. This decrease was attributable to the redemptions of 29,277.5224 Redeemable Units resulting in an outflow of $34,359,298, which was offset by the subscriptions of 16,984.5394 Redeemable Units totaling $19,941,239, coupled with the net income from operations of $1,242,249. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent periods.
Critical Accounting Policies
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable. Actual results could differ from those estimates. The Partnership’s significant accounting policies are described in detail in Note 7 of the Financial Statements.
The Partnership records all investments at fair value in its financial statements, with changes in fair value reported as a component of net realized and change in net unrealized trading gain (loss) in the Statements of Income and Expenses and Changes in Partners’ Capital.

20


 

Results of Operations
During the first quarter of 2011, the Partnership’s net asset value per unit increased 0.2% from $1,165.28 to $1,167.07 as compared to a decrease of 1.9% in the same period of 2010. The Partnership experienced a net trading gain before brokerage fees and related fees in the first quarter of 2011 of $17,201,519. Gains were primarily attributable to the Partnership/Funds’ trading in currencies, energy, livestock, metals and softs and were partially offset by losses in grains, indices and U.S and non-U.S. Interest rates. The Partnership experienced a net trading gain before brokerage fees and related fees in the first quarter of 2010 of $399,310. Gains were primarily attributable to the Partnership/Funds’ trading in currencies, U.S and non-U.S. interest rates and livestock and were partially offset by losses in energy, grains, indices, metals and softs.
The most significant gains were achieved within the energy markets throughout the majority of the quarter from long futures positions in crude oil and its related products as prices rose amid an escalation in political instability in the Middle East and North Africa, prompting concerns that crude supplies may be disrupted. Additional gains were recorded in February from short positions in natural gas futures as prices declined on forecasts of warmer-than-normal weather in U.S. consuming regions that reduced demand for the heating fuel. Within the metals markets, gains were experienced primarily during February due to long futures positions in gold and silver as prices of gold futures reached an all-time high and prices of silver futures extended a rally to a 30-year high after mounting unrest in the Middle East spurred demand for the precious metals as a “safe haven.” Within the agricultural complex, gains were experienced primarily during January and February from long positions in cotton futures as cotton prices reached record highs after floods in cotton-producing areas in Australia, Pakistan, and China diminished supplies, while demand from China, the world’s largest user of the fiber, continued to rise. Elsewhere, long positions in coffee futures resulted in gains as coffee prices rose to the highest level since 1997 on signs that global demand may outstrip production. Within the currency markets, gains were experienced primarily in February and March from long positions in the Australian dollar, euro, and Canadian dollar versus the U.S. dollar as the value of these currencies moved higher against the U.S. dollar after better-than-expected U.S. economic data and a report that revealed European consumer confidence rose to the highest level in a year boosted optimism about the global economic recovery and spurred demand for higher-yielding currency assets.
A portion of the Partnership’s gains for the quarter was offset by losses incurred within the global interest rate sector, primarily during February, from short positions in U.S. and European fixed-income futures as prices increased amid a “flight-to-safety” spurred by geopolitical concerns in the Middle East and North Africa. Within the global stock index markets, losses were experienced primarily during March from long positions in European, Pacific Rim, and U.S. equity index futures as prices moved sharply lower after the disaster in Japan spurred concern about global economic growth.
Commodity futures markets are highly volatile. The potential for broad and rapid price fluctuations increases the risks involved in commodity trading, but also increases the possibility of profit. The profitability of the Partnership/Funds depends on the existence of major price trends and the ability of the Advisors to correctly identify those price trends. Price trends are influenced by, among other things, changing supply and demand relationships, weather, governmental, agricultural, commercial and trade programs and policies, national and international political and economic events and changes in interest rates. To the extent that market trends exist and the Advisors are able to identify them, the Partnership expects to increase capital through operations.
Interest income on 80% of the average daily equity maintained in cash in the Partnership’s (or the Partnership’s allocable portion of a Fund’s) brokerage account was earned at the monthly average 30-day U.S. Treasury bill yield. Interest income for the three months ended March 31, 2011 increased by $55,362 as compared to the corresponding period in 2010. The increase in interest income is primarily due to higher U.S. Treasury bill rates during the three months ended March 31, 2011, as compared to the corresponding period in 2010. Interest earned by the Partnership will increase the net asset value of the Partnership. The amount of interest income earned by the Partnership depends on the average daily equity in the Partnership’s and the Funds’ accounts and upon interest rates over which neither the Partnership nor CGM has control.
Brokerage fees are calculated as a percentage of the Partnership’s adjusted net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Accordingly, they must be compared in relation to the fluctuations in the monthly net asset values. Brokerage fees for the three months ended March 31, 2011 decreased $11,132 as compared to the corresponding period in 2010. The decrease in brokerage fees is due to a decrease in average net assets for the three months ended March 31, 2011, as compared to the corresponding period in 2010.
Management fees are calculated as a percentage of the Partnership’s adjusted net asset value as of the end of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2011 decreased $48,019 as compared to the corresponding period in 2010. The decrease in management fees is due to a decrease in average net assets for the three months ended March 31, 2011 as compared to the corresponding period in 2010.
Incentive fees are based on the new trading profits generated by each Advisor at the end of the quarter as defined in the management agreement among the Partnership, the General Partner and each Advisor. Trading performance for the three months ended March 31, 2011 resulted in incentive fees of $347,609. There were no incentive fees earned for the three months ended March 31, 2010. An Advisor will not be paid incentive fees until such Advisor recovers any net loss incurred by the Advisor and earns additional new trading profits for the Partnership.
In allocating the assets of the Partnership among the trading advisors, the General Partner considers past performance, trading style, volatility of markets traded and fee requirements. The General Partner may modify or terminate the allocation of assets among the trading advisors and may allocate assets to additional advisors at any time.

21


 

Item 3.   Quantitative and Qualitative Disclosures about Market Risk
The Partnership/Funds are speculative commodity pools. The market sensitive instruments held by them are acquired for speculative trading purposes, and all or substantially all of the Partnership’s/Funds’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnership’s main line of business.
The risk to the limited partners that have purchased interests in the Partnership is limited to the amount of their capital contributions to the Partnership and their share of the Partnership’s assets and undistributed profits. This limited liability is a consequence of the organization of the Partnership as a limited partnership under applicable law.
Market movements result in frequent changes in the fair value of the Partnership’s/Funds’ open positions and, consequently, in their earnings and cash balances. The Partnership’s/Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s/Funds’ open positions and the liquidity of the markets in which they trade.
The Partnership/Funds rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Partnership’s/Funds’ past performance is not necessarily indicative of their future results.
“Value at Risk” is a measure of the maximum amount which the Partnership/Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s/Funds’ speculative trading and the recurrence in the markets traded by the Partnership/Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s/Funds’ experience to date (i.e., “risk of ruin”). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership’s/Funds’ losses in any market sector will be limited to Value at Risk or by the Partnership’s/Funds’ attempts to manage their market risk.
Exchange maintenance margin requirements have been used by the Partnership/Funds as the measure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.
     Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk sensitive instruments. With the exception of JWH, the Partnership’s advisors currently trade the Partnership’s assets indirectly in master fund managed accounts over which they have been granted limited authority to make trading decisions. JWH directly trades a managed account in the Partnership’s name. The first two trading Value at Risk tables reflects the market sensitive instruments held by the Partnership directly and through its investment in the Funds. The remaining trading Value at Risk tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the managed account in the Partnership’s name traded by JWH) and indirectly by each Fund separately.
     The following tables indicate the trading Value at Risk associated with the Partnership’s open positions by market category as of March 31, 2011 and December 31, 2010. As of March 31, 2011, the Partnership’s total capitalization was $749,991,679.
                 
            % of Total  
Market Sector   Value at Risk     Capitalization  
Currencies
  $ 26,002,531       3.48 %
Energy
    15,901,302       2.12 %
Grains
    1,790,362       0.24 %
Indices
    13,083,925       1.74 %
Interest Rates U.S.
    3,491,443       0.47 %
Interest Rates Non-U.S.
    6,556,412       0.87 %
Livestock
    1,002,429       0.13 %
Lumber
    1,095       0.00 %
Metals
    8,231,955       1.10 %
Softs
    2,879,241       0.38 %
 
           
Total
  $ 78,940,695       10.53 %
 
           
     As of December 31, 2010, the Partnership’s total capitalization was $763,167,489.
                 
    December 31, 2010  
            % of Total  
Market Sector   Value at Risk     Capitalization  
Currencies
  $ 17,027,277       2.23 %
Energy
    18,382,741       2.41 %
Grains
    3,360,398       0.44 %
Indices
    13,933,328       1.83 %
Interest Rates U.S.
    8,649,152       1.13 %
Interest Rates Non-U.S.
    7,377,323       0.97 %
Livestock
    1,844,941       0.24 %
Metals
    6,948,426       0.91 %
Softs
    3,734,248       0.49 %
 
           
Total
  $ 81,257,834       10.65 %
 
           

22


 

     The following tables indicate the trading Value at Risk associated with the Partnership’s direct investments and indirect investments in the Funds by market category as of March 31, 2011 and December 31, 2010, the highest and lowest value at any point and the average value during the three months ended March 31, 2011 and for the twelve months ended December 31, 2010. All open position trading risk exposures have been included in calculating the figures set forth below. There have been no material changes in the trading Value at Risk information previously disclosed in the Partnership’s Annual Report on Form 10-K for the year ended December 31, 2010. As of March 31, 2011, the Partnership’s Value at Risk for the portion of its assets that are traded directly by JWH was as follows:
March 31, 2011
                                         
                    Three Months Ended March 31, 2011  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 320,200       0.04 %   $ 925,600     $ 201,600     $ 515,800  
Energy
    661,248       0.09 %     661,248       494,420       606,989  
Grains
    258,750       0.04 %     736,000       120,750       379,583  
Indices
    299,467       0.04 %     314,626       34,911       208,030  
Interest Rates U.S.
    133,900       0.02 %     274,289       133,900       223,828  
Interest Rates Non -U.S.
    330,651       0.04 %     770,314       330,651       560,091  
Metals
    842,892       0.11 %     842,892       120,024       556,995  
Softs
    823,700       0.11 %     1,206,240       616,000       841,753  
 
                                   
Total
  $ 3,670,808       0.49 %                        
 
                                   
 
*   Average of month-end Values at Risk
     As of December 31, 2010, the Partnership’s Value at Risk for the portion of its assets that are traded directly by JWH was as follows:
December 31, 2010
                                         
                    Twelve Months Ended December 31, 2010  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 700,600       0.09 %   $ 1,005,600     $ 28,800     $ 596,618  
Energy
    494,420       0.06 %     600,500       36,500       431,918  
Grains
    587,000       0.08 %     664,000       13,875       342,870  
Indices
    133,361       0.02 %     204,731       48,781       123,711  
Interest Rates U.S.
    361,250       0.05 %     411,200       40,000       276,068  
Interest Rates Non -U.S.
    575,201       0.07 %     615,037       102,218       425,813  
Metals
    822,000       0.11 %     822,000       39,984       475,734  
Softs
    1,121,800       0.15 %     1,121,800       176,000       507,714  
 
                                   
Total
  $ 4,795,632       0.63 %                        
 
                                   
 
*   Annual average of month-end Value at Risk

23


 

As of March 31, 2011, Drury Master’s total capitalization was $141,616,330. The Partnership owned approximately 89.0% of Drury Master. As of March 31, 2011, Drury Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drury for trading) was as follows:
March 31, 2011
                                         
                    Three Months Ended March 31, 2011  
            % of Total     High     Low     Average *  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk  
Currencies
  $ 9,925,544       7.01 %   $ 10,623,092     $ 4,725,187     $ 7,714,268  
Energy
    1,123,572       0.79 %     1,778,215       1,062,672       1,374,502  
Grains
    285,305       0.20 %     1,244,625       285,305       861,268  
Indices
    5,109,434       3.61 %     8,198,762       5,029,259       6,892,088  
Interest Rates U.S.
    1,391,700       0.98 %     1,391,700       475,908       874,853  
Interest Rates Non-U.S.
    741,150       0.52 %     1,627,325       736,667       1,232,830  
Metals
    4,686,186       3.31 %     4,984,103       3,921,795       4,599,854  
Softs
    619,034       0.44 %     2,176,397       619,034       1,440,289  
                                     
Total
  $ 23,881,925       16.86 %                        
                                     
*   Average of month-end Values at Risk
     As of December 31, 2010, Drury Master’s total capitalization was $123,074,679. The Partnership owned approximately 87.5% of Drury Master. As of December 31, 2010, Drury Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Drury for trading) was as follows:
December 31, 2010
                                         
                    Twelve Months Ended December 31, 2010  
            % of Total     High     Low     Average *  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk  
Currencies
  $ 5,021,338       4.08 %   $ 5,021,338     $ 1,706,188     $ 4,123,793  
Energy
    1,328,630       1.08 %     1,790,100       543,799       1,050,228  
Grains
    982,250       0.80 %     1,650,750       165,550       982,525  
Indices
    7,109,978       5.78 %     9,597,332       1,667,730       5,958,055  
Interest Rates U.S.
    458,036       0.37 %     1,358,000       457,621       933,366  
Interest Rates Non-U.S.
    3,594,971       2.92 %     5,511,448       1,657,132       3,464,645  
Metals
    3,849,377       3.13 %     3,849,377       502,003       1,958,430  
Softs
    1,071,845       0.87 %     1,393,499       278,418       939,629  
 
                                   
Total
  $ 23,416,425       19.03 %                        
 
                                   
 
*   Annual average of month-end Value at Risk

24


 

As of March 31, 2011, Willowbridge Master’s total capitalization was $168,614,835. The Partnership owned approximately 18.6% of Willowbridge Master. As of March 31, 2011, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:
March 31, 2011
                                         
                    Three Months Ended March 31, 2011
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
 
Currencies
  $ 3,114,825       1.85 %   $ 3,114,825     $ 657,720     $ 1,874,919  
Energy
    3,518,500       2.09 %     3,518,500       1,464,750       2,468,833  
Grains
    681,000       0.40 %     2,109,250       226,500       1,002,500  
Interest Rates U.S.
    415,250       0.25 %     1,011,711       302,400       361,238  
Interest Rates Non-U.S.
    1,685,948       1.00 %     2,134,289       1,229,606       1,489,274  
Metals
    3,110,127       1.84 %     3,587,000       1,760,207       2,736,952  
Softs
    2,629,700       1.56 %     2,629,700       850,500       2,240,400  
                                     
Total
  $ 15,155,350       8.99 %                        
                                     
*   Average of month-end Values at Risk
     As of December 31, 2010, Willowbridge Master’s total capitalization was $216,298,633. The Partnership owned approximately 21.2% of Willowbridge Master. As of December 31, 2010, Willowbridge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Willowbridge for trading) was as follows:
December 31, 2010
                                         
                    Twelve Months Ended December 31, 2010  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 2,232,591       1.03 %   $ 7,096,121     $ 940,854       3,547,819  
Energy
    2,742,900       1.27 %     6,539,400       460,750       2,570,821  
Grains
    2,062,750       0.95 %     3,762,750       207,200       1,238,276  
Interest Rates U.S.
    774,255       0.36 %     3,269,700       243,600       1,143,161  
Interest Rates Non-U.S.
    1,908,692       0.88 %     5,489,653       289,858       2,700,503  
Livestock
    112,000       0.05 %     171,200       44,800       92,018  
Metals
    3,791,000       1.75 %     5,643,396       710,500       2,729,785  
Softs
    2,024,400       0.94 %     3,388,150       198,000       1,542,246  
 
                               
Total
  $ 15,648,588       7.23 %                        
 
                               
 
*   Annual average of month-end Value at Risk

25


 

 
As of March 31, 2011, Aspect Master’s total capitalization was $171,857.926. The Partnership owned approximately 73.0% of Aspect Master. As of March 31, 2011, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:
 
March 31, 2011
                                         
                    Three Months Ended March 31, 2011  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 6,848,407       3.99 %   $ 8,424,651     $ 6,132,034     $ 7,404,837  
Energy
    2,054,170       1.20 %     2,054,170       1,241,868       1,577,567  
Grains
    379,656       0.22 %     736,876       342,613       543,431  
Indices
    1,979,457       1.15 %     3,093,179       1,263,661       2,599,483  
Interest Rates U.S.
    586,200       0.34 %     586,200       172,125       370,718  
Interest Rates Non-U.S.
    2,531,705       1.47 %     2,531,705       1,273,466       2,101,082  
Livestock
    118,500       0.07 %     128,500       76,750       119,217  
Lumber
    1,500       0.00 %**     3,000       1,300       1,933  
Metals
    1,432,783       0.83 %     1,857,539       1,115,572       1,299,324  
Softs
    646,569       0.38 %     891,860       628,212       699,379  
                                     
Total
  $ 16,578,947       9.65 %                        
                                     
 
 
* Average of month-end Values at Risk
 
** Due to rounding
     As of December 31, 2010, Aspect Master’s total capitalization was $157,864,059. The Partnership owned approximately 68.7% of Aspect Master. As of December 31, 2010, Aspect Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Aspect for trading) was as follows:
December 31, 2010
                                         
                    Twelve Months Ended December 31, 2010  
            % of Total   High   Low   Average *
Market Sector   Value at Risk   Capitalization   Value at Risk   Value at Risk   Value at Risk
Currencies
  $ 6,641,142       4.21 %   $ 6,908,626     $ 1,960,264     $ 4,676,665  
Energy
    1,421,450       0.90 %     1,932,150       351,414       1,223,668  
Grains
    663,172       0.42 %     853,702       150,472       496,932  
Indices
    2,735,405       1.73 %     15,325,500       832,920       2,830,563  
Interest Rates U.S.
    128,755       0.08 %     2,333,350       128,755       1,185,599  
Interest Rates Non-U.S.
    1,433,026       0.91 %     6,063,200       1,068,897       4,111,787  
Livestock
    109,519       0.07 %     240,000       14,717       93,906  
Metals
    1,798,174       1.14 %     2,724,717       539,569       1,434,801  
Softs
    853,509       0.54 %     1,719,693       494,690       987,242  
 
                                     
Total
  $ 15,784,152       10.00 %                        
 
                                     
 
*   Annual average of month-end Value at Risk

26


 

As of March 31, 2011, CFM Master’s total capitalization was $163,363,291. The Partnership owned approximately 77.2% of CFM Master. As of March 31, 2011, CFM Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to CFM for trading) was as follows:
March 31, 2011
                                         
                Three Months Ended March 31, 2011
            % of Total   High   Low   Average
Market Sector   Value at Risk   Capitalization   Value at Risk   Value at Risk   Value at Risk*
Currencies
  $ 4,516,820       2.76 %   $ 6,421,110     $ 903,435     $ 4,240,119  
Energy
    909,315       0.56 %     1,159,537       119,162       438,448  
Grains
    327,426       0.20 %     327,426       102,213       209,965  
Indices
    3,548,263       2.17 %     8,029,319       525,489       4,831,495  
Interest Rates U.S.
    1,315,600       0.80 %     3,412,400       431,546       2,374,900  
Interest Rates Non -U.S.
    1,403,095       0.86 %     3,210,464       1,403,095       2,433,472  
Livestock
    35,800       0.02 %     35,800       14,900       28,067  
Metals
    1,322,225       0.81 %     1,746,955       181,250       947,846  
Softs
    220,639       0.14 %     378,757       122,253       203,696  
                                     
Total
  $ 13,599,183       8.32 %                        
                                     
*   Average of month-end Values at Risk
 
     As of December 31, 2010, CFM Master’s total capitalization was $163,073,234. The Partnership owned approximately 76.3% of CFM Master. As of December 31, 2010, CFM Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to CFM for trading) was as follows:
December 31, 2010
                                         
                    Twelve Months Ended December 31, 2010  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 2,320,930       1.42 %   $ 6,402,680     $ 414,348     $ 2,078,665  
Energy
    344,275       0.21 %     2,166,109       154,579       709,954  
Grains
    238,210       0.15 %     585,400       91,736       276,553  
Indices
    9,619,057       5.90 %     9,619,057       1,002,179       5,981,337  
Interest Rates U.S.
    1,334,500       0.82 %     3,845,150       93,777       2,207,437  
Interest Rates Non -U.S.
    1,128,977       0.69 %     6,320,972       315,476       2,646,684  
Livestock
    13,404       0.01 %     129,150       2,626       30,932  
Metals
    396,250       0.24 %     814,850       13,102       336,186  
Softs
    193,451       0.12 %     587,384       124,374       253,108  
 
                               
Total
  $ 15,589,054       9.56 %                        
 
                               
 
*   Annual average of month-end Value at Risk

27


 

As of March 31, 2011, Winton Master’s total capitalization was $938,086,423. The Partnership owned approximately 11.0% of Winton Master. As of March 31, 2011, Winton Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton for trading) was as follows:
 
March 31, 2011
 
                                         
                  Three Months Ended March 31, 2011  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 9,794,825       1.04 %   $ 15,140,134     $ 8,078,809     $ 10,435,543  
Energy
    4,245,784       0.45 %     4,245,784       2,892,420       3,605,810  
Grains
    2,874,571       0.31 %     4,371,245       2,837,661       3,353,776  
Indices
    13,132,023       1.40 %     17,629,694       12,196,809       15,223,697  
Interest Rates U.S.
    635,935       0.07 %     1,592,375       635,935       1,052,308  
Interest Rates Non-U.S.
    4,987,691       0.53 %     6,560,642       3,725,576       6,008,676  
Livestock
    44,375       0.00 %**     274,700       44,375       162,775  
Metals
    6,804,273       0.73 %     7,869,347       6,413,729       7,090,013  
Softs
    1,220,236       0.13 %     1,476,652       463,289       916,355  
 
                                   
Total
  $ 43,739,713       4.66 %                        
 
                                   
 
  Average of month-end Values at Risk.
 
**    Due to rounding.
     As of December 31, 2010, Winton Master’s total capitalization was $883,719,871. The Partnership owned approximately 14.0% of Winton Master. As of December 31, 2010, Winton Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Winton for trading) was as follows:
December 31, 2010
                                         
                    Twelve Months Ended December 31, 2010  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 8,969,665       1.01 %   $ 13,529,797     $ 3,127,432     $ 9,858,603  
Energy
    3,277,769       0.37 %     4,944,082       236,988       2,213,508  
Grains
    3,992,796       0.45 %     4,064,389       556,164       2,285,359  
Indices
    15,987,691       1.81 %     22,020,780       2,382,812       12,021,182  
Interest Rates U.S.
    1,387,025       0.16 %     10,348,050       275,672       5,195,958  
Interest Rates Non-U.S.
    3,521,207       0.40 %     13,490,861       1,949,046       7,347,287  
Livestock
    268,200       0.03 %     437,350       158,080       263,226  
Metals
    6,416,979       0.73 %     8,963,451       3,939,668       5,989,765  
Softs
    1,393,632       0.16 %     2,071,953       538,916       1,029,710  
 
                                   
Total
  $ 45,214,964       5.12 %                        
 
                                   
 
*   Annual average of month-end Value at Risk.

28


 

As of March 31, 2011, Graham Master’s total capitalization was $158,206,830. The Partnership owned approximately 63.7% of Graham Master. As of March 31, 2011, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:
March 31, 2011
                                         
                    Three Months Ended March 31, 2011  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 10,526,667       6.65 %   $ 14,645,028     $ 5,042,022     $ 9,712,741  
Energy
    1,121,320       0.71 %     1,221,130       430,473       715,112  
Grains
    478,650       0.30 %     624,700       436,750       497,655  
Indices
    4,094,626       2.59 %     11,180,261       3,276,704       6,785,775  
Interest Rates U.S.
    829,155       0.52 %     1,205,145       545,675       851,529  
Interest Rates Non-U.S.
    2,782,686       1.76 %     3,022,899       1,439,332       2,717,692  
Livestock
    63,600       0.04 %     63,600       38,000       42,867  
Metals
    1,048,048       0.66 %     1,637,443       616,825       1,030,163  
Softs
    375,073       0.24 %     491,327       241,774       354,051  
 
                                   
Total
  $ 21,319,825       13.47 %                        
 
                                   
 
*   Average of month-end Values at Risk.
     As of December 31, 2010, Graham Master’s total capitalization was $168,924,671. The Partnership owned approximately 62.5% of Graham Master. As of December 31, 2010, Graham Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Graham for trading) was as follows:
December 31, 2010
                                         
                    Twelve Months Ended December 31, 2010  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Currencies
  $ 6,192,975       3.67 %   $ 11,364,239     $ 996,231     $ 5,226,199  
Energy
    1,048,521       0.62 %     1,989,347       236,269       1,000,222  
Grains
    448,450       0.26 %     964,687       124,875       411,118  
Indices
    5,301,813       3.14 %     13,726,706       1,137,775       5,507,221  
Interest Rates U.S.
    161,600       0.10 %     2,021,410       68,806       1,014,515  
Interest Rates Non-U.S.
    1,209,918       0.72 %     4,305,447       749,055       2,006,426  
Livestock
    40,000       0.02 %     106,400       800       50,304  
Metals
    1,012,127       0.60 %     1,771,142       494,357       993,963  
Softs
    258,565       0.15 %     1,144,148       85,988       385,351  
 
                                   
Total
  $ 15,673,969       9.28 %                        
 
                                   
 
*   Annual average of month-end Value at Risk.

29


 

As of March 31, 2011, SandRidge Master’s total capitalization was $378,195,781. The Partnership owned approximately 10.3% of SandRidge Master. As of March 31, 2011, SandRidge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SandRidge for trading) was as follows:
March 31, 2011
                                         
                    Three Months Ended March 31, 2011  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Energy
  $ 34,995,837       9.25 %   $ 61,733,650     $ 31,352,944     $ 41,648,911  
 
                                   
Total
  $ 34,995,837       9.25 %                        
 
                                   
 
*   Average of month-end Values at Risk.
     As of December 31, 2010, SandRidge Master’s total capitalization was $528,735,257. The Partnership owned approximately 13.8% of SandRidge Master. As of December 31, 2010, SandRidge Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to SandRidge for trading) was as follows:
December 31, 2010
                                         
                    Twelve Months Ended December 31, 2010  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Energy
  $ 61,391,255       11.61 %   $ 85,692,107     $ 18,754,664     $ 56,852,448  
 
                                   
Total
  $ 61,391,255       11.61 %                        
 
                                   
 
*   Annual average of month-end Value at Risk.
     As of March 31, 2011, Sasco Master’s total capitalization was $102,109,165 . The Partnership owned approximately 73.0% of Sasco Master. As of March 31, 2011, Sasco Master’s Value at Risk for its assets (including the portion of the partnership’s assets allocated to Sasco for trading) was as follows:
March 31, 2011
                                         
                    Three Months Ended March 31, 2011  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
 
Energy
  $ 9,038,644       8.85 %   $ 23,105,575     $ 9,038,644     $ 17,056,663  
 
                                   
Totals
  $ 9,038,644       8.85 %                        
 
                                   
 
*   Average of month-end Values at Risk.
     As of December 31, 2010, Sasco Master’s total capitalization was $81,683,630. The Partnership owned approximately 55.3% of Sasco Master. As of December 31, 2010, Sasco Master’s Value at Risk for its assets (including the portion of the Partnership’s assets allocated to Sasco for trading) was as follows:
December 31, 2010
                                         
                    Twelve Months Ended December 31, 2010  
            % of Total     High     Low     Average  
Market Sector   Value at Risk     Capitalization     Value at Risk     Value at Risk     Value at Risk*  
Energy
  $ 9,618,175       11.77 %   $ 16,002,038     $ 2,149,045     $ 10,344,808  
 
                                   
Totals
  $ 9,618,175       11.77 %                        
 
                                   
 
*   Annual average of month-end Value at Risk.

30


 

Item 4.   Controls and Procedures.
The Partnership’s disclosure controls and procedures are designed to ensure that information required to be disclosed by the Partnership on the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) is recorded, processed, summarized and reported within the time periods expected in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that information required to be disclosed by the Partnership in the reports it files is accumulated and communicated to management, including the Chief Executive Officer (“CEO”) and Chief Financial Officer (“CFO”) of the General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC filings.
Management is responsible for ensuring that there is an adequate and effective process for establishing, maintaining and evaluating disclosure controls and procedures for the Partnership’s external disclosures.
The General Partner’s CEO and CFO have evaluated the effectiveness of the Partnership’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of March 31, 2011 and, based on that evaluation, the General Partner’s CEO and CFO have concluded that at that date the Partnership’s disclosure controls and procedures were effective.
The Partnership’s internal control over financial reporting is a process under the supervision of the General Partner’s CEO and CFO to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements in accordance with GAAP. These controls include policies and procedures that:
    pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Partnership;
 
    provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnership’s receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and
 
    provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnership’s assets that could have a material effect on the financial statements.
There were no changes in the Partnership’s internal control over financial reporting process during the fiscal quarter ended March 31, 2011 that materially affected, or are reasonably likely to materially affect, the Partnership’s internal control over financial reporting.

31


 

PART II. OTHER INFORMATION
Item 1.   Legal Proceedings.
This section describes the major pending legal proceedings, other than ordinary routine litigation incidental to the business, to which CGM is a party or to which any of their property is subject. There are no material legal proceedings pending against the Partnership or the General Partner.
CGM is a New York corporation with its principal place of business at 388 Greenwich St., New York, New York 10013. CGM is registered as a broker-dealer and futures commission merchant (“FCM”), and provides futures brokerage and clearing services for institutional and retail participants in the futures markets. CGM and its affiliates also provide investment banking and other financial services for clients worldwide.
There have been no material administrative, civil or criminal actions within the past five years against CGM (formerly known as Salomon Smith Barney) or any of its individual principals and no such actions are currently pending, except as follows.
Mutual Funds
Several issues in the mutual fund industry have come under the scrutiny of federal and state regulators. Citigroup has received subpoenas and other requests for information from various government regulators regarding market timing, financing, fees, sales practices and other mutual fund issues in connection with various investigations. Citigroup is cooperating with all such reviews. Additionally, CGM has entered into a settlement agreement with the SEC with respect to revenue sharing and sales of classes of funds.
On May 31, 2005, Citigroup announced that Smith Barney Fund Management LLC and CGM completed a settlement with the SEC resolving an investigation by the SEC into matters relating to arrangements between certain Smith Barney mutual funds, an affiliated transfer agent and an unaffiliated sub-transfer agent. Under the terms of the settlement, Citigroup agreed to pay fines totaling $208.1 million. The settlement, in which Citigroup neither admitted nor denied any wrongdoing or liability, includes allegations of willful misconduct by Smith Barney Fund Management LLC and CGM in failing to disclose aspects of the transfer agent arrangements to certain mutual fund investors.
In May 2007, CGM finalized its settlement agreement with the NYSE and the New Jersey Bureau of Securities on the matter related to its market-timing practices prior to September 2003.
FINRA Settlement
On October 12, 2009, FINRA announced its acceptance of an Award Waiver and Consent (“AWC”) in which CGM, without admitting or denying the findings, consented to the entry of the AWC and a fine and censure of $600,000. The AWC includes findings that CGM failed to adequately supervise the activities of its equities trading desk in connection with swap and related hedge trades in U.S. and Italian equities that were designed to provide certain perceived tax advantages. CGM was charged with failing to provide for effective written procedures with respect to the implementation of the trades, failing to monitor Bloomberg messages and failing to properly report certain of the trades to the NASDAQ.
Auction Rate Securities
On May 31, 2006, the SEC instituted and simultaneously settled proceedings against CGM and 14 other broker-dealers regarding practices in the auction rate securities market. The SEC alleged that the broker-dealers violated Section 17(a)(2) of the Securities Act of 1933, as amended. The broker-dealers, without admitting or denying liability, consented to the entry of an SEC cease-and-desist order providing for censures, undertakings and penalties. CGM paid a penalty of $1.5 million.
On August 7, 2008, Citigroup reached a settlement with the New York Attorney General, the SEC, and other state regulatory agencies, pursuant to which Citigroup agreed to offer to purchase at par auction rate securities from all Citigroup individual investors, small institutions (as defined by the terms of the settlement), and charities that purchased auction rate securities from Citigroup prior to February 11, 2008. In addition, Citigroup agreed to pay a $50 million fine to the State of New York and a $50 million fine to the other state regulatory agencies.
Subprime Mortgage-Related Actions
The SEC, among other regulators, is investigating Citigroup’s subprime and other mortgage-related conduct and business activities, as well as other business activities affected by the credit crisis, including an ongoing inquiry into Citigroup’s structuring and sale of collateralized debt obligations. Citigroup is cooperating fully with the SEC’s inquiries.
On July 29, 2010, the SEC announced the settlement of an investigation into certain of Citigroup’s 2007 disclosures concerning its subprime-related business activities. On October 19, 2010, the United States District Court for the District of Columbia entered a final judgment approving the settlement, pursuant to which Citigroup agreed to pay a $75 million civil penalty and to maintain certain disclosure policies, practices and procedures for a three-year period. Additional information relating to this action is publicly available in court filings under the docket number 10 Civ. 1277 (D.D.C.) (Huvelle, J.).
The Federal Reserve Bank, the OCC and the FDIC, among other federal and state authorities, are investigating issues related to the conduct of certain mortgage servicing companies, including Citigroup affiliates, in connection with mortgage foreclosures. Citigroup is cooperating fully with these inquiries.
Credit Crisis Related Matters
Beginning in the fourth quarter of 2007, certain of Citigroup’s, and CGM’ regulators and other state and federal government agencies commenced formal and informal investigations and inquiries, and issued subpoenas and requested information, concerning Citigroup’s subprime mortgage-related conduct and business activities. Citigroup and certain of its affiliates, including CGM, are involved in discussions with certain of its regulators to resolve certain of these matters.
Certain of these regulatory matters assert claims for substantial or indeterminate damages. Some of these matters already have been resolved, either through settlements or court proceedings, including the complete dismissal of certain complaints or the rejection of certain claims following hearings.
In the course of its business, CGM, as a major futures commission merchant and broker-dealer, is a party to various civil actions, claims and routine regulatory investigations and proceedings that the general partner believes do not have a material effect on the business of CGM.

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Item 1A.   Risk Factors.
     There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors” in the Partnership’s Annual Report on Form 10-K for the fiscal year ended December 31, 2010.
Item 2.   Unregistered Sales of Equity Securities and Use of Proceeds
The public offering of Redeemable Units terminated on November 30, 2008.
For the three months ended March 31, 2011, there were additional subscriptions of 16,984.5394 Redeemable Units totaling $19,941,239. The Redeemable Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder. The Redeemable Units were purchased by accredited investors as described in Regulation D.
Proceeds of net offering were used for the trading of commodity interests including futures contracts, swaps, options and forward contracts.
The following chart sets forth the purchases of Redeemable Units by the Partnership.
                                             
 
                                      (d) Maximum Number    
                            (c) Total Number       (or Approximate    
                            of Redeemable Units       Dollar Value) of    
                            Purchased as Part       Redeemable Units that    
        (a) Total Number       (b) Average       of Publicly       May Yet Be    
        of Redeemable       Price Paid per       Announced       Purchased Under the    
  Period     Units Purchased*       Redeemable Unit**       Plans or Programs       Plans or Programs    
 
January 1, 2011 –
January 31, 2011
      8,552.7406       $ 1,164.53         N/A         N/A    
 
February 1, 2011 –
February 28, 2011
      7,344.3341       $ 1,195.95         N/A         N/A    
 
March 1, 2011 –
March 31, 2011
      13,380.4477       $ 1,167.07         N/A         N/A    
 
 
      29,277.5224       $ 1,173.57                        
 
*   Generally, limited partners are permitted to redeem their Redeemable Units as of the end of each month on three business days’ notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnership’s business in connection with effecting redemptions for limited partners.
 
**   Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day.
Item 3.   Defaults Upon Senior Securities. None.
Item 4.   [Removed and Reserved]
Item 5.   Other Information.

      The Partnership fully redeemed its investment in SandRidge Master on April 30, 2011. As of May 1, 2011, a portion of the Partnership’s assets was allocated to Altis Partners (Jersey) Limited, which was invested in CMF Altis Partners Master Fund L.P. As of May 1, 2011, a portion of the Partnership’s assets was allocated to Krom River Trading AG, which was invested in KR Master Fund L.P.

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Item 6.   Exhibits
       
 
3.1
  Certificate of Limited Partnership of the Partnership as filed in the office of the Secretary of State of the State of New York (filed as Exhibit 3.2 to the Registration on Form S-1 filed on December 20, 2002 and incorporated herein by reference).
 
   
 
(a)
  Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated May 21, 2003 (filed as Exhibit 99.2 to the Form 8-K filed on November 3, 2009 and incorporated herein by reference).
 
   
 
(b)
  Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 21, 2005 (filed as Exhibit 99.3 to the Form 8-K filed on November 3, 2009 and incorporated herein by reference).
 
   
 
(c)
  Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 19, 2008 (filed as Exhibit 99.4 to the Form 8-K filed on November 3, 2009 and incorporated herein by reference).
 
   
 
(d)
  Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated September 24, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on September 30, 2009 and incorporated herein by reference).
 
   
 
(e)
  Certificate of Amendment to the Certificate of Limited Partnership as filed in the office of the Secretary of State of the State of New York, dated June 30, 2010 (filed as Exhibit 3.1(e) to the Form 8-K filed on July 2, 2010 and incorporated herein by reference).
 
   
 
3.2
  Limited Partnership Agreement (filed as Exhibit A to the Post-Effective Amendment No. 5 to the Registration on Form S-1 filed on April 22, 2008 and incorporated herein by reference).
 
   
 
(a)
  Amendment to the Limited Partnership Agreement, dated May 31, 2009 (filed as Exhibit 99.1 to the Form 8-K filed on November 3, 2009 and incorporated herein by reference).
 
   
 
10.1
  Amended and Restated Customer Agreement among the Partnership and Salomon Smith Barney Inc. (filed as Exhibit 10.1 to the Pre-Effective Amendment No. 2 to the Registration on Form S-1 filed on March 18, 2003 and incorporated herein by reference).
 
   
 
10.2
  Escrow Agreement among the Partnership, Salomon Smith Barney Inc. and JPMorgan Chase Bank (filed as Exhibit 10.3 to the Pre-Effective Amendment No. 1 to the Registration on Form S-1 filed on February 14, 2003).
 
   
 
10.3
  Management Agreement among the Partnership, the General Partner and Graham (filed as Exhibit 10.5 to the Registration on Form S-1 filed on December 20, 2002).
 
   
 
(a)
  Letter from the General Partner extending Management Agreement with Graham for 2010 (filed as Exhibit 10.3(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
   
 
10.4
  Management Agreement among the Partnership, the General Partner and Willowbridge (filed as Exhibit 10.7 to the Registration on Form S-1 filed on December 20, 2002).
 
   
 
(a)
  Letter from the General Partner extending Management Agreement with Willowbridge for 2010 (filed as Exhibit 10.4(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
   
 
10.5
  Management Agreement among the Partnership, the General Partner and Drury (filed as Exhibit 10.4 to the Pre-Effective Amendment No. 1 to the Registration on Form S-1 filed on February 14, 2003).
 
   
 
(a)
  Letter from the General Partner extending Management Agreement with Drury for 2010 (filed as Exhibit 10.5(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
   
 
10.6
  Management Agreement among the Partnership, the General Partner and JWH (filed as Exhibit 10.6 to the Pre-Effective Amendment No. 2 to the Registration on Form S-1 filed on March 18, 2003).
 
   
 
(a)
  Letter from the General Partner extending Management Agreement with JWH for 2010 (filed as Exhibit 10.6(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
   
 
10.7
  Management Agreement among the Partnership, the General Partner and Winton (filed as Exhibit 10.2 to the Form 10-K filed on March 16, 2005 and incorporated herein by reference).
 
   
 
(a)
  Letter from the General Partner extending Management Agreement with Winton for 2010 (filed as Exhibit 10.7(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
   
 
10.8
  Amended and Restated Management Agreement among the Partnership, the General Partner and CFM (filed as Exhibit 10.8 to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
   
 
10.9
  Management Agreement among the Partnership, the General Partner and Aspect (filed as Exhibit 10.4 to the Form 10-K filed on March 16, 2005 and incorporated herein by reference).

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(a)
  Letter from the General Partner extending Management Agreement with Aspect for 2010 (filed as Exhibit 10.9(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
   
 
10.10
  Management Agreement among the Partnership, the General Partner and SandRidge (filed as Exhibit 10.1 to the Form 10-Q filed on May 15, 2009 and incorporated herein by reference).
 
   
 
(a)
  Letter from the General Partner extending Management Agreement with SandRidge for 2010 (filed as Exhibit 10.11(a) to the Form 10-K filed on March 31, 2011 and incorporated herein by reference).
 
   
 
10.11
  Management Agreement among the Partnership, the General Partner and Sasco (filed as exhibit 10.13 to the Form 8-K filed on September 27, 2010 and incorporated herein by reference).
 
   
 
10.12
  Management Agreement among the Partnership, the General Partner and Altis Partners (Jersey) Limited. (filed as Exhibit 10.13 to the Form 8-K filed on May 3, 2011 and incorporated herein by reference).
 
   
 
10.13
  Management Agreement among the Partnership, the General Partner and Krom River Investment Management (Cayman) Limited and Krom River Trading AG (filed as Exhibit 10.14 to the Form 8-K filed on May 3, 2011 and incorporated herein by reference).
 
   
 
10.14
  Second Amended and Restated Agency Agreement among the Partnership, the General Partner, CGM and MSSB dated July 29, 2010 (filed as Exhibit 10.12 to the Form 8-K filed on August 3, 2010 and incorporated herein by reference).
31.1 — Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director)
31.2 — Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director)
32.1 — Section 1350 Certification (Certification of President and Director)
32.2 — Section 1350 Certification (Certification of Chief Financial Officer and Director)

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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
TACTICAL DIVERSIFIED FUTURES FUND L.P.
 
         
By:
  Ceres Managed Futures LLC
 
(General Partner)
   
 
       
By:
  /s/ Walter Davis
 
Walter Davis
   
 
  President and Director    
 
       
Date:
  May 16, 2011
 
   
 
       
By:
  /s/ Jennifer Magro
 
Jennifer Magro
   
 
  Chief Financial Officer and Director    
 
  (Principal Accounting Officer)    
 
       
Date:
  May 16, 2011
 
   

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